All my new emails show up as new in the "Messages" folder and not the folder for the email address itself.

So I have 3 emails addresses, when I get an alert for a new email, the new messages icon appears in the "messages" folder, and not in the individual email folders, so I have to go to "Messages" to see which email account the email is coming from. I want the new message icon to show up in the email folder that the message went to.